The ‘cult of benchmarking’ that gripped investors and investment consultants in the 1980s and 1990s, dueto the rise of index-based investment strategies, has been the bane of assetmanagers specialising in options-based strategies. Without a benchmark, theseinvestment strategies have been a hard sell. But that has started to change,thanks partly to the Chicago Board Options Exchange (CBOE), which launched an options benchmark index in mid-2002.
The CBOE’s BuyWrite Index, or BXM, has gained enough
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